Template-Type: ReDIF-Paper 1.0
Author-Name: van Dijk, D.J.C.
Author-Name-Last: van Dijk
Author-Name-First: Dick
Author-Person: pva27
Author-Name: Terasvirta, T.
Author-Name-Last: Terasvirta
Author-Name: Franses, Ph.H.B.F.
Author-Name-Last: Franses
Author-Name-First: Philip Hans
Author-Person: pfr226
Title: Smooth transition autoregressive models - A survey of recent developments
Abstract: This paper surveys recent developments related to the smooth transition autoregressive [STAR] time series model and several of its variants. We put emphasis on new methods for testing for STAR nonlinearity, model evaluation, and forecasting. Several useful extensions of the basic STAR model, which concern multiple regimes, time-varying nonlinear properties, and models for vector time series, are also reviewed.
Creation-Date: 2000-06-09
File-URL: https://repub.eur.nl/pub/1656/feweco20000609141913.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 2000-23/A
Keywords: forecasting, impulse response analysis, model evalution, regime-switching models, time series model specification
Handle: RePEc:ems:eureir:1656